1.   When determining the indirect exposure value to a client arising from derivative contracts written on debt, equity or credit default swap indices or collective investment undertaking, or with multi-underlying reference names, institutions shall look through to all the individual underlying instruments and calculate the indirect exposure values as the variation in the price of the derivative contract in the case of default of each of the underlying reference names. Institutions shall assign each indirect exposure value either to an identified client, a separate client or the unknown client, as laid down in Article 6(1) and (2) of Delegated Regulation (EU) No 1187/2014.

2.   Where an institution is not able to look through to all the individual underlying instruments of the derivative contract as provided for in paragraph 1 or where it would be unduly burdensome for the institution to do so, it shall:

(a)	look through to those individual underlying instruments where the institution is able to do so or where it would not be unduly burdensome for the institution to do so and calculate the indirect exposure value in accordance with paragraph 1;

(b)

for those underlying instruments where the institution is not able to look through or where it would be unduly burdensome for an institution to do so, calculate the indirect exposure value by looking at the variation of the price of the derivative contract in the case of default of all those underlying reference names.

The indirect exposure value referred to in point (b) of the first subparagraph of this paragraph shall be assigned either to the derivative transaction as a separate client or to the unknown client, as laid down in Article 6(3) of Delegated Regulation (EU) No 1187/2014.

3.   By way of derogation from paragraphs 1 and 2 of this Article, where the indirect exposure values are to be assigned to the unknown client, as laid down in Article 6(2) and (3) of Commission Delegated Regulation (EU) No 1187/2014, and where the indirect exposure values are negative, the institution shall set to zero those indirect exposure values before counting them towards the exposures to the unknown client.